finmath lib – Surefire Report

Surefire Report

Summary

Tests	Errors	Failures	Skipped	Success Rate	Time
723	0	0	5	99.308%	1,729.694

Note: failures are anticipated and checked for with assertions while errors are unanticipated.

Package List

[Summary] [Package List] [Test Cases]

Package	Tests	Skipped	Success Rate	Time
	422	4	99.052%	884.441
net.finmath.montecarlo.interestrate	14	0	100%	639.87
net.finmath.climate.models.dice	3	0	100%	0.477
net.finmath.montecarlo.automaticdifferentiation	1	0	100%	0.925
net.finmath.rootfinder	1	0	100%	0.056
net.finmath.singleswaprate.calibration	5	0	100%	20.371
net.finmath.fouriermethod	8	0	100%	9.308
net.finmath.time.businessdaycalendar	5	0	100%	0.123
net.finmath.marketdata.products	3	0	100%	0.048
net.finmath.equities	18	0	100%	1.495
net.finmath.singleswaprate.products	9	0	100%	7.579
net.finmath.singleswaprate.annuitymapping	5	0	100%	0.412
net.finmath.montecarlo.hybridassetinterestrate	5	0	100%	26.869
net.finmath.util.config	1	0	100%	0.071
net.finmath.fouriermethod.calibration	2	0	100%	3.09
net.finmath.time	34	0	100%	1.341
net.finmath.integration	10	0	100%	0.315
net.finmath.stochastic	20	0	100%	0.029
net.finmath.convexityadjustment	1	0	100%	0.63
net.finmath.modelling	1	0	100%	2.405
net.finmath.marketdata.model.curves.locallinearregression	2	0	100%	1.221
net.finmath.montecarlo.assetderivativevaluation.models	4	0	100%	5.66
net.finmath.singleswaprate.model.volatilities	6	0	100%	0.884
net.finmath.optimizer	12	0	100%	0.701
net.finmath.montecarlo.automaticdifferentiation.backward	13	0	100%	0.052
net.finmath.randomnumbers	3	0	100%	0.963
net.finmath.montecarlo.interestrate.products.components	3	0	100%	8.857
net.finmath.marketdata.model.curves	7	0	100%	2.222
net.finmath.time.daycount	3	0	100%	0.08
net.finmath.fouriermethod.products	1	0	100%	0.105
net.finmath.information	2	0	100%	0.024
net.finmath.montecarlo.interestrate.products	11	0	100%	14.061
net.finmath.modelling.descriptor	6	0	100%	59.837
net.finmath.montecarlo.assetderivativevaluation	15	1	93.333%	12.627
net.finmath.montecarlo.interestrate.modelplugins	1	0	100%	0.752
net.finmath.montecarlo.assetderivativevaluation.products	3	0	100%	3.221
net.finmath.marketdata.model.volatilities	6	0	100%	0.425
net.finmath.modelling.productfactory	2	0	100%	2.378
net.finmath.finitedifference	4	0	100%	1.941
net.finmath.montecarlo	11	0	100%	7.358
net.finmath.marketdata.model.cds	1	0	100%	0.23
net.finmath.singleswaprate.data	1	0	100%	0.186
net.finmath.analytic.model.curves.test	1	0	100%	1.032
net.finmath.interpolation	1	0	100%	0.168
net.finmath.functions	36	0	100%	4.854

Note: package statistics are not computed recursively, they only sum up all of its testsuites numbers.

Class	Tests	Skipped	Success Rate	Time
BrownianMotionTest	20	0	100%	88.321
RandomVariableDifferentiableTypePriorityTest	16	0	100%	0.042
RandomVariableDifferentiableArithmeticTest	20	0	100%	0.038
CalibrationTest	12	0	100%	0.375
LIBORMarketModelNormalAADSensitivitiesTest	15	0	100%	50.243
LIBORMarketModelCalibrationTest	3	0	100%	195.545
FIPXMLParserTest	1	0	100%	0.037
RandomVariableDifferentiableTest	52	0	100%	19.334
LIBORMarketModelCalibrationAADTest	2	0	100%	106.275
LIBORMarketModelInterpolationTest	3	0	100%	9.975
FPMLParserTest	1	0	100%	0.049
MonteCarloBlackScholesModelSensitivitiesTest	3	0	100%	1.694
LIBORIndexMultiCurveTest	6	0	100%	18.042
SimpleCappedFlooredFloatingRateBondTest	2	0	100%	4.454
FundingCapacityTest	14	0	100%	35.366
BachelierModelMonteCarloValuationTest	24	4	83.333%	2.923
DeltaHedgedPortfolioWithAADTest	2	0	100%	15.609
BlackScholesMonteCarloValuationTest	24	0	100%	3.618
LIBORIndexTest	60	0	100%	55.984
RandomVariableDifferentiableAADPerformanceTest	18	0	100%	86.545
CapletVolatilitiesParametricCalibrationTest	2	0	100%	88.336
HestonModelCallOptionTest	2	0	100%	0.355
RandomVariableTest	55	0	100%	22.275
HestonModelTest	2	0	100%	3.511
DisplacedLognomalModelTest	3	0	100%	0.594
LIBORMarketModelMultiCurveValuationTest	14	0	100%	35.765
CalibrationTest	6	0	100%	0.322
LIBORMarketModelValuationTest	40	0	100%	38.814

net.finmath.montecarlo.interestrate

Class	Tests	Success Rate	Time
CapValuationTest	1	100%	2.974
LIBORMarketModelWithTenorRefinementCalibrationTest	2	100%	608.274
LIBORMarketModelCalibrationSmileTest	1	100%	18.712
HullWhiteModelTest	9	100%	8.584
HullWhiteModelCalibrationTest	1	100%	1.326

net.finmath.climate.models.dice

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	DICEModelTest	3	0	0	0	100%	0.477

net.finmath.montecarlo.automaticdifferentiation

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	MonteCarloBlackScholesModelDigitalOptionAADRegressionSensitivitiesTest	1	0	0	0	100%	0.925

net.finmath.rootfinder

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	RootFindersTest	1	0	0	0	100%	0.056

net.finmath.singleswaprate.calibration

Class	Tests	Success Rate	Time
SABRCubeParallelCalibrationTest	1	100%	4.391
StaticCubeCalibrationTest	1	100%	2.129
SABRCubeCalibrationTest	1	100%	12.005
SABRShiftedSmileCalibrationTest	2	100%	1.846

net.finmath.fouriermethod

Class	Tests	Success Rate	Time
BlackScholesCallOptionTest	2	100%	0.25
VarianceGammaCallOptionTest	3	100%	5.435
MertonJumpDiffusionCallOptionTest	3	100%	3.623

net.finmath.time.businessdaycalendar

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	BusinessdayCalendarTest	5	0	0	0	100%	0.123

net.finmath.marketdata.products

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	DepositTest	3	0	0	0	100%	0.048

net.finmath.equities

Class	Tests	Success Rate	Time
PdeOptionPricerTest	8	100%	1.094
AffineDividendStreamTest	2	100%	0.06
AnalyticOptionValuationTest	3	100%	0.184
SviVolatiltitySurfaceTest	3	100%	0.107
Black76ModelTest	2	100%	0.05

net.finmath.singleswaprate.products

Class	Tests	Success Rate	Time
CashSettledSwaptionTest	3	100%	2.842
ConstantMaturitySwapTest	3	100%	3.815
AnnuityDummyTest	3	100%	0.922

net.finmath.singleswaprate.annuitymapping

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	NormalizingFunctionTest	1	0	0	0	100%	0.224
	AnnuityMappingTest	4	0	0	0	100%	0.188

net.finmath.montecarlo.hybridassetinterestrate

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	HybridAssetLIBORModelMonteCarloSimulationFromModelsTest	1	0	0	0	100%	1.629
	CrossCurrencyLIBORMarketModelFromModelsTest	4	0	0	0	100%	25.24

net.finmath.util.config

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	ConfigTreeTest	1	0	0	0	100%	0.071

net.finmath.fouriermethod.calibration

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	HestonDaxCalibrationTest	1	0	0	0	100%	1.969
	VarianceGammaDaxCalibrationTest	1	0	0	0	100%	1.121

net.finmath.time

Class	Tests	Success Rate	Time
DayCountConventionTest	8	100%	0.03
ScheduleGeneratorTest	3	100%	0.064
FloatingpointDateTest	3	100%	1.191
TimeDiscretizationTest	20	100%	0.056

net.finmath.integration

Class	Tests	Success Rate	Time
PiecewiseContantDoubleUnaryOperatorTest	5	100%	0.031
TrapezoidalRealIntegratorTest	1	100%	0.029
SimpsonRealIntegratorTest	2	100%	0.047
MonteCarloIntegratorTest	2	100%	0.208

net.finmath.stochastic

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	ScalarTest	20	0	0	0	100%	0.029

net.finmath.convexityadjustment

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	CMSOptionTest	1	0	0	0	100%	0.63

net.finmath.modelling

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	LIBORMarketModelHierarchyTest	1	0	0	0	100%	2.405

net.finmath.marketdata.model.curves.locallinearregression

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	CurveEstimationTest	2	0	0	0	100%	1.221

net.finmath.montecarlo.assetderivativevaluation.models

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	MultiAssetBlackScholesModelTest	4	0	0	0	100%	5.66

net.finmath.singleswaprate.model.volatilities

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	SABRVolatilityCubeSharedParametersTest	2	0	0	0	100%	0.341
	SABRVolatilityCubeTest	4	0	0	0	100%	0.543

net.finmath.optimizer

Class	Tests	Success Rate	Time
StochasticLevenbergMarquardtTest	2	100%	0.229
LevenbergMarquardtTest	6	100%	0.191
OptimizerFactoryTest	2	100%	0.149
StochasticPathwiseLevenbergMarquardtTest	2	100%	0.132

net.finmath.montecarlo.automaticdifferentiation.backward

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	RandomVariableDifferentiableAADTest	13	0	0	0	100%	0.052

net.finmath.randomnumbers

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	AcceptanceRejectionRandomNumberGeneratorTest	1	0	0	0	100%	0.704
	HighEntropyRandomNumberGeneratorTest	2	0	0	0	100%	0.259

net.finmath.montecarlo.interestrate.products.components

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	ExposureTest	2	0	0	0	100%	8.805
	FundingCapacityTest	1	0	0	0	100%	0.052

net.finmath.marketdata.model.curves

Class	Tests	Success Rate	Time
CalibrationMultiCurveTest	1	100%	1.497
CurveTest	1	100%	0.112
NelsonSiegelSvenssonBondCalibrationTest	1	100%	0.201
DiscountCurveNelsonSiegelSvenssonTest	1	100%	0.019
DiscountCurveSerializationTest	1	100%	0.07
NelsonSiegelSvenssonCalibrationTest	1	100%	0.29
ForwardCurveNelsonSiegelSvenssonTest	1	100%	0.033

net.finmath.time.daycount

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	DayCountConvention_30E_360Test	1	0	0	0	100%	0.04
	DayCountConvention_30E_360_ISDATest	2	0	0	0	100%	0.04

net.finmath.fouriermethod.products

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	TestCarrMadan	1	0	0	0	100%	0.105

net.finmath.information

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	LibraryTest	2	0	0	0	100%	0.024

net.finmath.montecarlo.interestrate.products

Class	Tests	Success Rate	Time
SwaptionAnalyticApproximationTest	2	100%	2.431
SwapLegTest	5	100%	6.432
SwaptionNormalTest	1	100%	1.705
InterestRateProductTest	3	100%	3.493

net.finmath.modelling.descriptor

Class	Tests	Success Rate	Time
MertonModelDescriptorTest	1	100%	15.739
InterestRateSwapLegDescriptorTest	2	100%	3.398
VarianceGammaModelDescriptorTest	1	100%	37.443
AssetBlackScholesModelDescriptorTest	1	100%	1.484
HestonModelDescriptorTest	1	100%	1.773

net.finmath.montecarlo.assetderivativevaluation

Class	Tests	Skipped	Success Rate	Time
InhomogenousBachelierModelMonteCarloValuationTest	6	1	83.333%	1.148
MonteCarloBlackScholesModelDigitalOptionSensitivitiesTest	2	0	100%	4.179
VarianceGammaModelTest	1	0	100%	2.755
MonteCarloBlackScholesModelEuropeanOptionSensitivitiesTest	1	0	100%	0.21
MonteCarloBlackScholesModelBermudanOptionSensitivitiesTest	1	0	100%	0.361
MonteCarloBlackScholesModelTest	2	0	100%	0.157
MonteCarloBlackScholesModelAsianOptionSensitivitiesTest	1	0	100%	0.24
MertonModelTest	1	0	100%	3.577

net.finmath.montecarlo.interestrate.modelplugins

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	LIBORVolatilityModelFourParameterExponentialFormIntegratedTest	1	0	0	0	100%	0.752

net.finmath.montecarlo.assetderivativevaluation.products

Class	Tests	Success Rate	Time
BlackScholesDeltaHedgedPortfolioTest	1	100%	1.988
ForwardAgreementWithFundingRequirementTest	1	100%	0.514
EuropeanOptionVegaPathwiseTest	1	100%	0.719

net.finmath.marketdata.model.volatilities

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	CapletVolatilitiesTest	1	0	0	0	100%	0.128
	CapletVolatilitiesParametricTest	5	0	0	0	100%	0.297

net.finmath.modelling.productfactory

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	ModelWithProductFactoryTest	2	0	0	0	100%	2.378

net.finmath.finitedifference

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	ConstantElasticityOfVarianceThetaTest	2	0	0	0	100%	1.535
	BlackScholesThetaTest	2	0	0	0	100%	0.406

net.finmath.montecarlo

Class	Tests	Success Rate	Time
RandomVariableFromDoubleArrayTest	9	100%	0.063
GammaProcessTest	1	100%	5.636
VarianceGammaTest	1	100%	1.659

net.finmath.marketdata.model.cds

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	CDSTest	1	0	0	0	100%	0.23

net.finmath.singleswaprate.data

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	DataTablesTest	1	0	0	0	100%	0.186

net.finmath.analytic.model.curves.test

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	TestCurvesFromLIBORModel	1	0	0	0	100%	1.032

net.finmath.interpolation

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	BiLinearInterpolationTest	1	0	0	0	100%	0.168

net.finmath.functions

Class	Tests	Success Rate	Time
NormalDistributionTest	2	100%	0.148
JarqueBeraTestTest	1	100%	0.068
LinearAlgebraTest	6	100%	0.069
BachelierModelTest	8	100%	0.17
BarrierOptionsTest	8	100%	0.081
AnalyticFormulasTest	11	100%	4.318

Test Cases

[Summary] [Package List] [Test Cases]

PiecewiseContantDoubleUnaryOperatorTest

	testExceptions	0.016
	testIntegralErrorCorrection	0.004
	testValuation	0
	testIntegralOfSquares	0.001
	testIntegral	0

CapValuationTest

	testCap	2.957

NormalDistributionTest

	testCumulativeDistribution	0.09
	testInverseCumulativeDistribution	0.042

InhomogenousBachelierModelMonteCarloValuationTest

	testEuropeanAsianBermudanOption + - [ Detail ]	0
	skipped
	testModelRandomVariable	0.193
	testEuropeanCallVega	0.473
	testEuropeanCallDelta	0.326
	testEuropeanCall	0.058
	testModelProperties	0.071

MertonModelDescriptorTest

	test	15.727

DayCountConvention_30E_360Test

	test	0.028

JarqueBeraTestTest

	test	0.056

BrownianMotionTest

	testBrownianIncrementSquaredDrift	3.069
	testBrownianIncrementSquaredDrift	3.648
	testBrownianIncrementSquaredDrift	3.531
	testBrownianIncrementSquaredDrift	3.422
	testSerialization	0.066
	testSerialization	0.027
	testSerialization	0.042
	testSerialization	0.034
	testScalarValuedBrownianMotionTerminalDistribution	4.409
	testScalarValuedBrownianMotionTerminalDistribution	5.651
	testScalarValuedBrownianMotionTerminalDistribution	5.329
	testScalarValuedBrownianMotionTerminalDistribution	5.288
	testScalarValuedBrownianMotionWithJarqueBeraTest	2.303
	testScalarValuedBrownianMotionWithJarqueBeraTest	3.469
	testScalarValuedBrownianMotionWithJarqueBeraTest	2.234
	testScalarValuedBrownianMotionWithJarqueBeraTest	2.025
	testDensity	11.093
	testDensity	11.081
	testDensity	10.769
	testDensity	10.831

RandomVariableDifferentiableTypePriorityTest

	testTypePriorityAdd	0.026
	testTypePriorityAdd	0.001
	testTypePriorityAdd	0.004
	testTypePriorityAdd	0.001
	testTypePriorityCap	0.002
	testTypePriorityCap	0
	testTypePriorityCap	0
	testTypePriorityCap	0.001
	testTypePriorityMult	0.001
	testTypePriorityMult	0.001
	testTypePriorityMult	0
	testTypePriorityMult	0.001
	testTypePriorityFloor	0.001
	testTypePriorityFloor	0.001
	testTypePriorityFloor	0
	testTypePriorityFloor	0.002

RandomVariableFromDoubleArrayTest

	testAdd	0.024
	testDiv	0.004
	testGet	0
	testApply	0.004
	testMult	0.003
	testSize	0.002
	testAverage	0
	testVariance	0
	testGetRealizations	0.001

RandomVariableDifferentiableArithmeticTest

	testArithmeticExpLog	0.023
	testArithmeticExpLog	0
	testArithmeticExpLog	0.005
	testArithmeticExpLog	0.001
	testArithmeticSqrtMultSqrt	0.001
	testArithmeticSqrtMultSqrt	0
	testArithmeticSqrtMultSqrt	0
	testArithmeticSqrtMultSqrt	0
	testArithmeticSqrtSquared	0.001
	testArithmeticSqrtSquared	0.001
	testArithmeticSqrtSquared	0.001
	testArithmeticSqrtSquared	0
	testArithmeticDivSelf	0.001
	testArithmeticDivSelf	0.001
	testArithmeticDivSelf	0.001
	testArithmeticDivSelf	0
	testArithmeticSubSelf	0
	testArithmeticSubSelf	0.001
	testArithmeticSubSelf	0
	testArithmeticSubSelf	0.001

SwaptionAnalyticApproximationTest

	testMultiCurveModel	1.662
	testSingleCurveModel	0.753

CalibrationTest

	testCurvesAndCalibration	0.197
	testCurvesAndCalibration	0.031
	testCurvesAndCalibration	0.066
	testCurvesAndCalibration	0.026
	testCurvesAndCalibration	0.025
	testCurvesAndCalibration	0.018
	testForwardCurveFromDiscountCurve	0.003
	testForwardCurveFromDiscountCurve	0.002
	testForwardCurveFromDiscountCurve	0.002
	testForwardCurveFromDiscountCurve	0.004
	testForwardCurveFromDiscountCurve	0.001
	testForwardCurveFromDiscountCurve	0

GammaProcessTest

	testScaling	5.618

LIBORMarketModelNormalAADSensitivitiesTest

	testDelta	3.904
	testDelta	3.113
	testDelta	3.541
	testDelta	3.831
	testDelta	4.721
	testVega	4.13
	testVega	3.02
	testVega	3.713
	testVega	3.851
	testVega	5.669
	testGenericDelta	1.662
	testGenericDelta	1.553
	testGenericDelta	1.695
	testGenericDelta	2.109
	testGenericDelta	3.731

CurveEstimationTest

	testRegressionMatrix	1.186
	testLinearInterpolation	0.019

LIBORMarketModelCalibrationTest

	testATMSwaptionCalibration	58.298
	testATMSwaptionCalibration	5.677
	testATMSwaptionCalibration	131.57

ScalarTest

	testAbs	0.008
	testAdd	0
	testCap	0
	testDiv	0.001
	testSub	0.001
	testSubRatio	0
	testFloor	0
	testIsNaN	0
	testMult	0
	testSqrt	0
	testArrayOf	0.001
	testAddRatio	0
	testGetAverage	0
	testAddProduct	0.001
	testDiscount	0
	testAccrue	0
	testChoose	0.001
	testEquals	0
	testInvert	0
	testSquared	0

PdeOptionPricerTest

	Test_pricer_american	0.258
	Test_noArbitrage	0.035
	Test_pricer_americanCall	0.029
	Test_pricer_european	0.021
	Test_europeanSensis	0.022
	Test_pricer_americanPut	0.022
	Test_impliedVol	0.172
	Test_pricer_lv	0.513

MonteCarloBlackScholesModelDigitalOptionSensitivitiesTest

	testSensitivities	2.207
	testProductAADSensitivities	1.956

AffineDividendStreamTest

	Test_affineDividendConversion	0.049
	Test_sorting	0

RandomVariableDifferentiableAADTest

	testSecondOrderDerivative	0.032
	testOperatorMult1	0.001
	testOperatorMult2	0
	testVariance	0.003
	testOperatorExp	0
	testOperatorLog	0
	testExpectation	0.001
	testOperatorAdd1	0.001
	testOperatorAdd2	0
	testOperatorDiv1	0
	testOperatorDiv2	0
	testOperatorSub1	0
	testOperatorSub2	0

HestonDaxCalibrationTest

	test	1.958

SwapLegTest

	testFloatLeg	2.512
	testCMSSpreadLeg	1.267
	testFixLeg	0.791
	testLIBORInArrearsFloatLeg	0.769
	testCMSFloatLeg	1.059

FIPXMLParserTest

	testGetSwapProductDescriptor	0.037

AnalyticOptionValuationTest

	Test_complexMarketData	0.156
	Test_noArbitrage	0.005
	Test_sensis	0.012

RandomVariableDifferentiableTest

	testRandomVariableExpectation	0.11
	testRandomVariableExpectation	0.012
	testRandomVariableExpectation	0.015
	testRandomVariableExpectation	0.011
	testRandomVariableSimpleGradient2	0.002
	testRandomVariableSimpleGradient2	0.004
	testRandomVariableSimpleGradient2	0.001
	testRandomVariableSimpleGradient2	0.002
	testRandomVariableSimpleGradient	0
	testRandomVariableSimpleGradient	0.001
	testRandomVariableSimpleGradient	0.001
	testRandomVariableSimpleGradient	0.002
	testRandomVariableGradientBiggerSum	1.01
	testRandomVariableGradientBiggerSum	0.372
	testRandomVariableGradientBiggerSum	0.742
	testRandomVariableGradientBiggerSum	0.38
	testRandomVariableGradientBigSumWithConstants	0.201
	testRandomVariableGradientBigSumWithConstants	0.077
	testRandomVariableGradientBigSumWithConstants	0.073
	testRandomVariableGradientBigSumWithConstants	0.084
	testRandomVariableArithmeticSqrtPow	0.001
	testRandomVariableArithmeticSqrtPow	0.001
	testRandomVariableArithmeticSqrtPow	0.002
	testRandomVariableArithmeticSqrtPow	0
	testRandomVariableStandardDeviation	0.001
	testRandomVariableStandardDeviation	0
	testRandomVariableStandardDeviation	0
	testRandomVariableStandardDeviation	0
	testRandomVariableGradientBigSum2	0.098
	testRandomVariableGradientBigSum2	0.017
	testRandomVariableGradientBigSum2	0.034
	testRandomVariableGradientBigSum2	0.018
	testRandomVariableArithmeticSquaredPow	0.002
	testRandomVariableArithmeticSquaredPow	0
	testRandomVariableArithmeticSquaredPow	0.001
	testRandomVariableArithmeticSquaredPow	0
	testRandomVariableGradientBigSum	0.081
	testRandomVariableGradientBigSum	0.034
	testRandomVariableGradientBigSum	0.059
	testRandomVariableGradientBigSum	0.033
	testRandomVariableStochastic	0.002
	testRandomVariableStochastic	0
	testRandomVariableStochastic	0.001
	testRandomVariableStochastic	0.001
	testRandomVariableDifferentiableInterfaceVsFiniteDifferences	4.05
	testRandomVariableDifferentiableInterfaceVsFiniteDifferences	4.012
	testRandomVariableDifferentiableInterfaceVsFiniteDifferences	3.8
	testRandomVariableDifferentiableInterfaceVsFiniteDifferences	3.982
	testRandomVariableDeterministc	0.001
	testRandomVariableDeterministc	0.001
	testRandomVariableDeterministc	0.001
	testRandomVariableDeterministc	0.001

LIBORMarketModelCalibrationAADTest

	testATMSwaptionCalibration	28.481
	testATMSwaptionCalibration	77.794

DICEModelTest

	testTimeStep1Y	0.214
	testTimeStep5Y	0.031
	testTimeStep6M	0.212

TrapezoidalRealIntegratorTest

	test	0.019

LIBORMarketModelInterpolationTest

	testInterpolatedLastLIBOR	3.095
	testInterpolatedLastLIBOR	2.909
	testInterpolatedLastLIBOR	3.971

ExposureTest

	testExpectedPositiveExposure	5.331
	testAgainstSwaption	3.441

VarianceGammaModelTest

	test	2.744

RootFindersTest

	testRootFinders	0.045

CashSettledSwaptionTest

	a_testSimplifiedLinear	0.802
	b_testBasicPiterbarg	1.033
	c_testMultiPiterbarg	0.883

FPMLParserTest

	testGetSwapProductDescriptor	0.049

MonteCarloBlackScholesModelEuropeanOptionSensitivitiesTest

	testProductAADSensitivities	0.197

BusinessdayCalendarTest

	testNycCalendar	0.043
	testCreateDateFromDateAndOffsetCode	0.047
	testCombinedCalendar	0.02
	testTargetCalendar	0.001
	testLondonCalendar	0

BlackScholesDeltaHedgedPortfolioTest

	testHedgePerformance	1.974

DepositTest

	testRateValueConsistency	0.035
	testEvaluationTime	0
	testDepositValue	0.001

InterestRateSwapLegDescriptorTest

	testFloatLeg	2.266
	testFixLeg	1.118

FundingCapacityTest

	test	0.035

HybridAssetLIBORModelMonteCarloSimulationFromModelsTest

	test	1.614

VarianceGammaModelDescriptorTest

	test	37.432

NormalizingFunctionTest

	testExpectation	0.078

ConstantMaturitySwapTest

	testSimplifiedLinear	0.924
	testBasicPiterbarg	1.451
	testMultiPiterbarg	1.315

AnnuityDummyTest

	testSimplified	0.477
	testBasic	0.21
	testMulti	0.118

SABRCubeParallelCalibrationTest

	testCalibration	4.376

StaticCubeCalibrationTest

	testStaticCubeCalibration	2.116

StochasticLevenbergMarquardtTest

	testBoothFunctionWithAnalyticDerivative	0.101
	test	0.113

AcceptanceRejectionRandomNumberGeneratorTest

	test	0.692

DayCountConventionTest

	testDayCountConvention_30E_360	0.009
	testDayCountConvention_ACT_360	0.002
	testDayCountConvention_ACT_365	0
	testDayCountConventionAdditivity_ACT_ACT_ICMA	0.003
	testDayCountConventionAdditivity_ACT_ACT_ISDA	0.001
	testDayCountConventionConsistency_ACT_ACT_ICMA_versus_ACT_ACT_ISDA	0
	testDayCountConvention_ACT_ACT_ISDA	0
	testDayCountConvention_ACT_ACT_YEARFRAC	0.001

MonteCarloBlackScholesModelBermudanOptionSensitivitiesTest

	testProductAADSensitivities	0.348

MonteCarloBlackScholesModelSensitivitiesTest

	testProductAADSensitivities	0.535
	testProductAADSensitivities	0.43
	testProductAADSensitivities	0.729

LIBORIndexMultiCurveTest

	testFRAMonteCarloVersusAnalytic	3.922
	testFRAMonteCarloVersusAnalytic	2.787
	testFRAMonteCarloVersusAnalytic	3.728
	testFRAMonteCarloVersusAnalytic	1.07
	testFRAMonteCarloVersusAnalytic	2.137
	testFRAMonteCarloVersusAnalytic	4.398

LevenbergMarquardtTest

	testMultiThreaddedOptimizer	0.087
	testBoothFunctionWithAnalyticDerivative	0.024
	testRosenbrockFunctionWithList	0.005
	testBoothFunction	0.006
	testRosenbrockFunction	0.033
	testSmallLinearSystem	0.004

CDSTest

	testCDS	0.218

LinearAlgebraTest

	testSolveLinearEquationLeastSquarePseudoInverse0	0.045
	testSolveLinearEquationLeastSquarePseudoInverse1	0
	testSolveLinearEquationLeastSquarePseudoInverse2	0.001
	testSolveLinearEquationLeastSquarePseudoInverse3	0
	testMatrixPowerNonSymmetric	0.006
	testMatrixPowerSymmetric	0.003

SimpleCappedFlooredFloatingRateBondTest

	test	2.725
	test	1.729

CrossCurrencyLIBORMarketModelFromModelsTest

	testForeignBond	7.751
	testProperties	4.032
	testForeignCaplet	6.45
	testForeignFRA	6.973

FundingCapacityTest

	testBond	2.938
	testBond	1.716
	testSwap	1.717
	testSwap	1.508
	testSwaptionSmile	1.732
	testSwaptionSmile	1.391
	testSwaption	1.504
	testSwaption	1.72
	testDigitalCaplet	1.419
	testDigitalCaplet	1.399
	testCaplet	1.532
	testCaplet	1.445
	testSwaptionCalibration	7.998
	testSwaptionCalibration	7.347

TestCarrMadan

	test	0.095

OptimizerFactoryTest

	testRosenbrockFunctionWithCMAES	0.129
	testRosenbrockFunctionWithLevenbergMarquard	0.01

AnnuityMappingTest

	a_testMappings	0.005
	b_testSeq	0.013
	c_testFirstDerivative	0.002
	d_testSecondDerivative	0.005

MonteCarloBlackScholesModelTest

	testDirectValuation	0.11
	testProductImplementation	0.036

BachelierModelMonteCarloValuationTest

	testEuropeanAsianBermudanOption + - [ Detail ]	0
	skipped
	testEuropeanAsianBermudanOption + - [ Detail ]	0
	skipped
	testEuropeanAsianBermudanOption + - [ Detail ]	0
	skipped
	testEuropeanAsianBermudanOption + - [ Detail ]	0
	skipped
	testModelRandomVariable	0.187
	testModelRandomVariable	0.078
	testModelRandomVariable	0.048
	testModelRandomVariable	0.048
	testEuropeanCallVega	0.485
	testEuropeanCallVega	0.206
	testEuropeanCallVega	0.239
	testEuropeanCallVega	0.265
	testEuropeanCallDelta	0.228
	testEuropeanCallDelta	0.175
	testEuropeanCallDelta	0.222
	testEuropeanCallDelta	0.247
	testEuropeanCall	0.067
	testEuropeanCall	0.053
	testEuropeanCall	0.058
	testEuropeanCall	0.056
	testModelProperties	0.069
	testModelProperties	0.057
	testModelProperties	0.067
	testModelProperties	0.068

ScheduleGeneratorTest

	testPeriodLength	0.043
	testPeriodStartPeriodEnd	0.001
	testScheduleGeneratorMetaData	0.005

BiLinearInterpolationTest

	test	0.151

CapletVolatilitiesTest

	testConversions	0.117

VarianceGammaDaxCalibrationTest

	test	1.11

CalibrationMultiCurveTest

	testMultiCurveCalibration	1.482

DayCountConvention_30E_360_ISDATest

	testAssumingEndDateIsATerminationDate	0.027
	testAssumingEndDateIsNotATerminationDate	0.001

CMSOptionTest

	testCMSOption	0.62

DeltaHedgedPortfolioWithAADTest

	testHedgePerformance	8.406
	testHedgePerformance	7.203

BlackScholesCallOptionTest

	test	0.171
	testDigitalOption	0.054

BachelierModelTest

	testInhomogeneousImpliedVolatility	0.11
	testHomogeneousRandomVariableImplementations	0.005
	testDelta	0.014
	testVega	0.002
	testInhomogeneousRandomVariableImplementations	0.001
	testInhomogenousDelta	0.006
	testInhomogenousVega	0.003
	testImpliedVolatility	0.014

SwaptionNormalTest

	testSwaption	1.693

LIBORMarketModelWithTenorRefinementCalibrationTest

	testSwaptionSmileCalibration	327.117
	testATMSwaptionCalibration	281.126

LIBORMarketModelCalibrationSmileTest

	testSwaptionSmileCalibration	18.7

LIBORVolatilityModelFourParameterExponentialFormIntegratedTest

	test	0.739

CurveTest

	testCurveFitting	0.098

HighEntropyRandomNumberGeneratorTest

	distributionTest	0.103
	testRNGWithConcurrency	0.127

MonteCarloBlackScholesModelDigitalOptionAADRegressionSensitivitiesTest

	test	0.914

BlackScholesMonteCarloValuationTest

	testEuropeanAsianBermudanOption	0.608
	testEuropeanAsianBermudanOption	0.297
	testEuropeanAsianBermudanOption	0.325
	testEuropeanAsianBermudanOption	0.302
	testModelRandomVariable	0.023
	testModelRandomVariable	0.023
	testModelRandomVariable	0.02
	testModelRandomVariable	0.018
	testEuropeanCallVega	0.189
	testEuropeanCallVega	0.34
	testEuropeanCallVega	0.168
	testEuropeanCallVega	0.158
	testEuropeanCallDelta	0.225
	testEuropeanCallDelta	0.393
	testEuropeanCallDelta	0.18
	testEuropeanCallDelta	0.177
	testEuropeanCall	0.023
	testEuropeanCall	0.025
	testEuropeanCall	0.027
	testEuropeanCall	0.018
	testModelProperties	0.02
	testModelProperties	0.022
	testModelProperties	0.019
	testModelProperties	0.018

StochasticPathwiseLevenbergMarquardtTest

	testBoothFunctionWithAnalyticDerivative	0.097
	test	0.018

SABRCubeCalibrationTest

	testSABRCubeCalibration	11.991

LIBORIndexTest

	testSinglePeriods	0.465
	testSinglePeriods	0.133
	testSinglePeriods	0.185
	testSinglePeriods	0.17
	testSinglePeriods	0.209
	testSinglePeriods	0.412
	testSinglePeriods	0.998
	testSinglePeriods	1.719
	testSinglePeriods	1.856
	testSinglePeriods	4.32
	testSinglePeriods	0.07
	testSinglePeriods	0.082
	testSinglePeriods	0.092
	testSinglePeriods	0.163
	testSinglePeriods	0.198
	testSinglePeriods	0.379
	testSinglePeriods	0.798
	testSinglePeriods	1.693
	testSinglePeriods	2.284
	testSinglePeriods	3.695
	testMultiPeriodFloater	0.11
	testMultiPeriodFloater	0.169
	testMultiPeriodFloater	0.158
	testMultiPeriodFloater	0.171
	testMultiPeriodFloater	0.268
	testMultiPeriodFloater	0.694
	testMultiPeriodFloater	0.735
	testMultiPeriodFloater	1.386
	testMultiPeriodFloater	1.764
	testMultiPeriodFloater	3.451
	testMultiPeriodFloater	0.04
	testMultiPeriodFloater	0.052
	testMultiPeriodFloater	0.09
	testMultiPeriodFloater	0.152
	testMultiPeriodFloater	0.195
	testMultiPeriodFloater	0.373
	testMultiPeriodFloater	0.792
	testMultiPeriodFloater	1.371
	testMultiPeriodFloater	2.24
	testMultiPeriodFloater	3.481
	testUnalignedPeriods	0.078
	testUnalignedPeriods	0.059
	testUnalignedPeriods	0.098
	testUnalignedPeriods	0.158
	testUnalignedPeriods	0.194
	testUnalignedPeriods	0.374
	testUnalignedPeriods	0.674
	testUnalignedPeriods	2.442
	testUnalignedPeriods	2.237
	testUnalignedPeriods	3.78
	testUnalignedPeriods	0.049
	testUnalignedPeriods	0.049
	testUnalignedPeriods	0.083
	testUnalignedPeriods	0.146
	testUnalignedPeriods	0.187
	testUnalignedPeriods	0.425
	testUnalignedPeriods	0.884
	testUnalignedPeriods	1.409
	testUnalignedPeriods	1.699
	testUnalignedPeriods	3.346

MonteCarloBlackScholesModelAsianOptionSensitivitiesTest

	testProductAADSensitivities	0.228

HullWhiteModelTest

	testBermudanSwaption	2.711
	testZeroCMSSwap	1.899
	testBond	0.326
	testSwap	2.407
	testSwaption	0.404
	testCaplet	0.31
	testCapletSmile	0.239
	testLIBORInArrearsFloatLeg	0.006
	testPutOnMoneyMarketAccount	0.248

ConfigTreeTest

	test	0.052

RandomVariableDifferentiableAADPerformanceTest

	test	1.402
	test	1.273
	test	1.775
	test	1.708
	test	1.225
	test	1.122
	test	2.244
	test	1.135
	test	1.723
	test	1.111
	test	1.431
	test	1.124
	test	20.958
	test	4.821
	test	20.487
	test	4.508
	test	14.921
	test	3.577

NelsonSiegelSvenssonBondCalibrationTest

	testBondNSSCurveCalibration	0.188

MertonModelTest

	test	3.565

CapletVolatilitiesParametricCalibrationTest

	testVolatilityCalibration	34.786
	testVolatilityCalibration	53.55

ModelWithProductFactoryTest

	bsTest	1.086
	hTest	1.267

DiscountCurveNelsonSiegelSvenssonTest

	test	0.009

SimpsonRealIntegratorTest

	testCos	0.034
	testCubic	0.002

ForwardAgreementWithFundingRequirementTest

	test	0.493

CapletVolatilitiesParametricTest

	testIntegratedFourParameterExponentialVolatilityParamSet1	0.199
	testDecayVolatility	0.002
	testIntegratedFourParameterExponentialVolatilityParamSetCZero	0.069
	testFlatVolatilityUsingA	0.001
	testFlatVolatilityUsingD	0

DataTablesTest

	testTables	0.166

HestonModelCallOptionTest

	test	0.273
	test	0.082

FloatingpointDateTest

	testLocalDateTime	1.167
	test	0.005
	testLocalDateLocalDateTimeConsistency	0.003

SviVolatiltitySurfaceTest

	Test_noArbitrage	0.061
	Test_calibration	0.031
	Test_stickyness	0.003

RandomVariableTest

	testAdd	0.008
	testAdd	0.001
	testAdd	0.028
	testAdd	0.002
	testAdd	0.005
	testCap	0.001
	testCap	0
	testCap	0.001
	testCap	0.009
	testCap	0.001
	testApply	0.003
	testApply	0
	testApply	0.003
	testApply	0
	testApply	0
	testFloor	0
	testFloor	0
	testFloor	0.002
	testFloor	0.001
	testFloor	0
	testRandomVariableArithmeticSqrtPow	0
	testRandomVariableArithmeticSqrtPow	0.001
	testRandomVariableArithmeticSqrtPow	0.003
	testRandomVariableArithmeticSqrtPow	0
	testRandomVariableArithmeticSqrtPow	0.001
	testRandomVariableStandardDeviation	0
	testRandomVariableStandardDeviation	0.001
	testRandomVariableStandardDeviation	0.001
	testRandomVariableStandardDeviation	0
	testRandomVariableStandardDeviation	0
	testGetQuantile	4.663
	testGetQuantile	4.556
	testGetQuantile	4.351
	testGetQuantile	4.304
	testGetQuantile	4.291
	testRandomVariableArithmeticSquaredPow	0.002
	testRandomVariableArithmeticSquaredPow	0.001
	testRandomVariableArithmeticSquaredPow	0.004
	testRandomVariableArithmeticSquaredPow	0.002
	testRandomVariableArithmeticSquaredPow	0.001
	testApply2	0.012
	testApply2	0
	testApply2	0.005
	testApply2	0
	testApply2	0
	testRandomVariableStochastic	0.001
	testRandomVariableStochastic	0.001
	testRandomVariableStochastic	0.001
	testRandomVariableStochastic	0.001
	testRandomVariableStochastic	0
	testRandomVariableDeterministc	0.004
	testRandomVariableDeterministc	0
	testRandomVariableDeterministc	0.001
	testRandomVariableDeterministc	0.001
	testRandomVariableDeterministc	0.001

HestonModelTest

	test	1.867
	test	1.644

LibraryTest

	testVersionString	0.012
	testBuildString	0

DisplacedLognomalModelTest

	testProductImplementation	0.301
	testProductImplementation	0.131
	testProductImplementation	0.162

InterestRateProductTest

	testBond	1.509
	testSwap	0.787
	testSwaption	1.181

DiscountCurveSerializationTest

	test	0.059

AssetBlackScholesModelDescriptorTest

	test	1.475

BarrierOptionsTest

	testDownAndInCall	0.059
	testDownAndOutPut	0.001
	testDownAndInPut	0.001
	testUpAndInPut	0.001
	testUpAndInCall	0.001
	testUpAndOutPut	0.002
	testUpAndOutCall	0.001
	testDownAndOutCall	0.003

LIBORMarketModelHierarchyTest

	testModelHierarchy	2.393

SABRVolatilityCubeSharedParametersTest

	a_cubeATM	0.031
	b_strikeSlices	0.03

VarianceGammaCallOptionTest

	testMartingalePropertyMonteCarlo	2.69
	test	2.733
	testMartingaleProperty	0

NelsonSiegelSvenssonCalibrationTest

	testCalibration	0.279

ForwardCurveNelsonSiegelSvenssonTest

	test	0.02

LIBORMarketModelMultiCurveValuationTest

	testBond	3.279
	testBond	1.801
	testSwap	1.691
	testSwap	1.543
	testSwaptionSmile	1.78
	testSwaptionSmile	1.4
	testSwaption	1.484
	testSwaption	1.535
	testDigitalCaplet	1.431
	testDigitalCaplet	1.407
	testCaplet	1.608
	testCaplet	1.417
	testSwaptionCalibration	7.896
	testSwaptionCalibration	7.493

MertonJumpDiffusionCallOptionTest

	testMartingalePropertyMonteCarlo	1.685
	test	1.92
	testMartingaleProperty	0.002

EuropeanOptionVegaPathwiseTest

	test	0.71

CalibrationTest

	testCurvesAndCalibration	0.257
	testCurvesAndCalibration	0.025
	testCurvesAndCalibration	0.028
	testForwardCurveFromDiscountCurve	0.008
	testForwardCurveFromDiscountCurve	0.003
	testForwardCurveFromDiscountCurve	0.001

AnalyticFormulasTest

	testSABRSkewApproximation	0.028
	testBlackScholesPutCallParityATM	0.012
	testVolatilityConversionLognormalToNormal	0.004
	testBlackModelCapletImpliedVol	0.001
	testBlackModelDigitalCapletDelta	0.001
	testBachelierOptionImpliedVolatility	0.618
	testBlackScholesNegativeForward	0.001
	testSABRCurvatureApproximation	0.001
	testBachelierRiskNeutralProbabilities	0.035
	testSABRCalibration	3.556
	testBachelierOptionDelta	0.028

ConstantElasticityOfVarianceThetaTest

	testEuropeanCallOption	0.827
	testEuropeanPutOption	0.697

MonteCarloIntegratorTest

	testCos	0.148
	testCubic	0.047

MultiAssetBlackScholesModelTest

	testModelWithFactorLoadings	2.731
	testModelWithCloneModifiedVolatility	0.184
	testModelCloneWithModifiedSeed	0.107
	testModelWithVolatilityAndCorrelation	2.599

HestonModelDescriptorTest

	test	1.76

TimeDiscretizationTest

	constructWithNumberOfStepsSmallerThanTickSize	0.021
	constructWithSetAtDefaultTickSize	0.001
	constructWithBoxedArrayAtSmallTickSize	0
	testUnionWithSubTickDuplicates	0.001
	testIntersectionWithNoDuplicates	0.001
	constructWithUnboxedArrayAtDefaultTickSize	0
	constructWithIntervalShortStubAtFront	0.002
	constructWithIntervalShortStubAtEnd	0.001
	constructWithNumberOfSteps	0
	constructWithSetAtSmallTickSize	0
	constructWithArrayListAtBigTickSize	0.001
	constructWithBoxedArrayAtBigTickSize	0.001
	constructWithSetAtBigTickSize	0
	testIntersectionWithSubTickDuplicates	0.001
	testIntersectionWithDifferentTickSizes	0.001
	constructWithBoxedArrayAtDefaultTickSize	0.003
	constructWithArrayListAtSmallTickSize	0
	testUnionWithNoDuplicates	0
	testUnionWithDifferentTickSizes	0.003
	constructWithArrayListAtDefaultTickSize	0.001

Black76ModelTest

	Test_black76_impliedVolatility	0.038
	Test_black76_formula	0.001

SABRVolatilityCubeTest

	a_cubeATM	0.044
	b_strikeSlices	0.036
	c_testAccessPerformance	0.16
	d_testAccessPerformanceOnNodes	0.024

HullWhiteModelCalibrationTest

	testATMSwaptionCalibration	1.31

BlackScholesThetaTest

	testEuropeanCallOption	0.265
	testEuropeanPutOption	0.115

SABRShiftedSmileCalibrationTest

	testCalibration	1.688
	testSingleSmile	0.058

TestCurvesFromLIBORModel

	testStochasticCurves	1.017

LIBORMarketModelValuationTest

	testFRA	2.101
	testFRA	0.986
	testFRA	1.703
	testFRA	1.44
	testBond	1.243
	testBond	0.874
	testBond	1.295
	testBond	1.124
	testSwap	0.949
	testSwap	0.838
	testSwap	1.281
	testSwap	0.964
	testSwaptionSmile	0.868
	testSwaptionSmile	0.872
	testSwaptionSmile	1.067
	testSwaptionSmile	1.14
	testSwaption	0.864
	testSwaption	1.182
	testSwaption	1.345
	testSwaption	0.97
	testDigitalCaplet	0.817
	testDigitalCaplet	0.822
	testDigitalCaplet	1.251
	testDigitalCaplet	0.931
	testLIBORInArrearsConvexity	0.805
	testLIBORInArrearsConvexity	0.811
	testLIBORInArrearsConvexity	1.08
	testLIBORInArrearsConvexity	1.063
	testCaplet	0.964
	testCaplet	0.791
	testCaplet	0.909
	testCaplet	0.971
	testCapletSmile	1.126
	testCapletSmile	0.812
	testCapletSmile	0.917
	testCapletSmile	1.196
	testSwaptionCalibration	0.245
	testSwaptionCalibration	0.075
	testSwaptionCalibration	0.064
	testSwaptionCalibration	0.058

VarianceGammaTest

	testCharacteristicFunction	1.644

Failure Details

[Summary] [Package List] [Test Cases]

	testEuropeanAsianBermudanOption
	skipped: skipped
	testEuropeanAsianBermudanOption
	skipped: skipped
	testEuropeanAsianBermudanOption
	skipped: skipped
	testEuropeanAsianBermudanOption
	skipped: skipped
	testEuropeanAsianBermudanOption
	skipped: skipped